Volatility spillovers in U.S. crude oil, ethanol, and corn futures markets

Andrés Trujillo-Barrera, Mindy Mallory, Philip Garcia

Research output: Contribution to journalArticlepeer-review


This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The shares of corn and ethanol price variability directly attributed to volatility in the crude oil market are generally between 10%-20%, but reached nearly 45% during the financial crisis, when world demand for oil changed dramatically. Volatility transmission is also found from the corn to the ethanol market, but not the opposite. The findings provide insights into the extent of volatility linkages among energy and agricultural markets in a period characterized by strong price variability and significant production of corn-based ethanol.

Original languageEnglish (US)
Pages (from-to)247-262
Number of pages16
JournalJournal of Agricultural and Resource Economics
Issue number2
StatePublished - Aug 2012


  • Biofuels
  • Corn
  • Crude oil
  • Energy-agricultural co-movements
  • Ethanol
  • Multivariate GARCH
  • Volatility spillovers

ASJC Scopus subject areas

  • Animal Science and Zoology
  • Agronomy and Crop Science
  • Economics and Econometrics


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